2024-09-11 13:49:56 +00:00
# Cumulative RSI
This strategy was taken from chapter 9 of [*Short Term Trading Strategies That Work* ](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work ) (2008) by Larry Connors.
2024-09-11 13:52:08 +00:00
It is based on the [Cumulative RSI indicator ](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/cumulative-rsi ) described in the book.
2024-09-11 14:00:59 +00:00
## Rules
2024-09-12 13:26:12 +00:00
1. The asset (e.g., SPY) is above its 200-day moving average.
2. If the 2-day cumulative 2-period RSI is below 35, enter a long position.
3. Exit the position when the 2-period RSI is above 65.
An alternate set of rules is provided in chapter 12 as follows (differences bolded):
2024-09-12 13:24:47 +00:00
2024-09-11 14:00:59 +00:00
1. The asset (e.g., SPY) is above its 200-day moving average.
2024-09-12 13:26:12 +00:00
2. If the 2-day cumulative **3-period** RSI is below **45** , enter a long position.
2024-09-11 14:00:59 +00:00
3. Exit the position when the 2-period RSI is above 65.
2024-09-11 14:09:37 +00:00
## Parameters
**Cumulative RSI Period**: The period to use in the RSI calculation. (Default: 2)
**Cumulative RSI Smoothing**: The smoothing to use in the RSI calculation. (Default: 1, no smoothing)
**Cumulative Period**: The number of RSI values to add up. (Default: 2)
**RSI Period**: The period of the RSI used to exit trades. (Default: 2)
**RSI Smoothing**: The smoothing of the RSI used to exit trades. (Default: 1)
**SMA Period**: The period used to calculate the long term trend as measured using a simple moving average. (Default: 200)
**Entry Threshold**: The Cumulative RSI threshold below which a trade is entered. (Default: 35)
**Exit Threshold**: The RSI threshold above which a trade is exited. (Default: 65)
2024-09-11 14:16:53 +00:00
## Backtest Results
### SPY
2024-09-12 13:35:34 +00:00
**Alternate Rules**
2024-09-11 14:50:08 +00:00
### QQQ
2024-09-12 13:41:06 +00:00
**Alternate Rules**
2024-09-11 13:49:56 +00:00
---
